Title of article :
Simplified order 4.0 weak Taylor schemes for additive noise
Author/Authors :
Tocino، نويسنده , , A.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Abstract :
Following Kloeden and Platen [P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992] Taylor schemes are considered here as the starting point to obtain simplified Taylor schemes replacing the multiple integrals by simpler variables. The conditions that a group of variables has to fulfill so that the new scheme reaches weak-order 4.0 in the additive noise case are given explicitly, as well as the way to find such groups. For a particular selection, a pair of stochastic schemes with order 4.0 in the weak sense, correcting the one proposed in [P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992], is obtained.
Keywords :
stochastic differential equations , Taylor scheme , weak convergence , Stochastic numerical method
Journal title :
Journal of Computational and Applied Mathematics
Journal title :
Journal of Computational and Applied Mathematics